Some people use many Bitcoin wallet specially those people who wants to earn a lot of bitcoin every week for signature campaign plus many accounts here in bitcointalk. As for me i only use 1 Bitcoin wallet , 1 is enough for me to received and send bitcoins.
Probably some are doing that, but not all... There are people who are always after the security of their investment... It's a good practice, who knows, your computer might be compromised or the site that you are logging in is compromised so there is a chance that the wallet you've used there will also be compromised...
There are some coins that are only on Polo and some that are only on another exchange, meaning that you can either TX in and out the Bitcoins to trade there, or leave some BTC there for future trades.